Yes. I'm using Adobe Acrobat 6.0 and Word 2003, and these are the steps.
Since you didn't specify versions for your software, I'll give these
directions.
In Word, go to the Adobe PDF Menu (if you don't have it, keep reading).
Pick change conversion settings...
Click on the Word tab...
Check the box for convert cross-reference and table of contents to links.
Then, convert the document and check the links.
If you are missing the Adobe PDF menu, and you know you have Acrobat
installed...
In Word go to Tools | Templates and add-ins and make sure you have
AdobePDF.dot checked.
If you don't see this template, do a Windows search for it, then use the
Templates and add-ins box to browse for it and add it.
tj